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Guernsey, 17 July 2017
AXA IM has published the Volta Finance Limited (the "Company" or "Volta Finance" or "Volta") monthly report for June. The full report is attached to this release and will be available on Volta's website shortly (www.voltafinance.com).
PERFORMANCE and PORTFOLIO ACTIVITY
In June, Volta's Estimated NAV* performance was +0.1%, including the 16 cents per share dividend paid on 29th of June. This modest but positive performance would have been higher without the negative impact of the USD's depreciation against Euro. The circa 25% USD exposure of Volta cost 0.4% to the June performance.

This negative contribution from currency exposure in June needs to be put in perspective. Volta's foreign currency exposure is limited and through time is not expected to be a significant driver of performance. On a twelve month basis the estimated impact of currency exposure is of the order of 0.5%, a relatively modest figure compared to the 20.8% performance of Volta through the same period (from June 2016 to June 2017, dividends reinvested at NAV).

Volta purchased four assets (2 USD CLO Debt and 2 USD CLO Equity) in June, to take advantage of a slight widening in discount margins. Volta also funded some of the CMV we committed to last year. A total equivalent of €12.0m was deployed with an average projected yield close to 9.5% under standard assumptions. No asset was sold or called.

At the end of June 2017, Volta's Estimated NAV* was €305.8m or €8.37 per share. The GAV stood at €348.6m. The 16 cents per share dividend paid on 29th of June represented a total amount of €5.8m.

In June, mark-to-market variations** of Volta's asset classes were: +0.9% for Synthetic Corporate Credit deals; 0.0% for CLO Equity tranches; 1.1% for CLO Debt tranches, 4.1% for Cash Corporate Credit deals; and +1.9% for ABS.

In June, Volta generated the equivalent of €0.6m in interest and coupons net of repo costs (non-euro amounts translated into euro using end-of-month cross currency rates). This brings the total cash amount generated during the last six months in terms of interest and coupons to €15.2m.

Cash holdings or cash equivalent instruments at the end of June totaled €23.6m.

The current level of cash is slightly higher than usual and mainly reflects the strong prepayments that occurred recently. Our view is still that credit markets are now quite fully valued and this amount will be deployed in due course when better opportunities arise. Typically we expect to be able to deploy more capital in CLO Equity tranches, CLO Debt tranches and Bank Balance Sheet transactions.

Volta's currency exposure is relatively unchanged since the end of April. The exposure to the US Dollar at the end of June was 26.8% against about 33% a year ago.

* It should be noted that approximately 10.4% of Volta's GAV comprises investments in funds for which the relevant NAVs as at the month-end date are normally available only after Volta's NAV has already been published. Volta's policy is to publish its own NAV on as timely a basis as possible in order to provide shareholders with Volta's appropriately up-to-date NAV information. Consequently, such investments in funds are valued using the most recently available NAV for each fund. The most recently available fund NAV was as at: 31 March 2017 for 1.0% of Volta's GAV and at 31 May 2017 for 9.4% of Volta's GAV.

** "Mark-to-market variation" is calculated as the Dietz-performance of the assets in each bucket, taking into account the Mark-to-Market of the assets at month-end, payments received from the assets over the period, and ignoring changes in cross currency rates. Nevertheless, some residual currency effects could impact the aggregate value of the portfolio when aggregating each bucket.